投资组合课后题及答案.docx

1、投资组合课后题及答案投资组合课后题及答案P62Q9. Mr. Franklin is 70 years of age, is in excellent health, pursues a simple but active lifestyle, and has no children. He has interest in a private company for $90 million and has decided that a medical research foundation will receive half the proceeds now; it will also be

2、the primary beneficiary of his estate upon his death. Mr. Franklin is committed to the foundations well-being because he believes strongly that, through it, a cure will be found for the disease that killed his wife. He now realizes that an appropriate investment policy and asset allocations are requ

3、ired if his goals are to be met through investment of his considerable assets. Currently, the following assets are available for use in building an appropriate portfolio:$45.0 million cash (from sale of the private company interest, net of pending；$45 million gift to the foundation)；10.0 million sto

4、cks and bonds ($5 million each)；9.0 million warehouse property (now fully leased)；1.0 million Franklin residence；$65.0 million total available assetsa. Formulate and justify an investment policy statement setting forth the appropriate guidelines within which future investment actions should take pla

5、ce. Your policy statement must encompass all relevant objective and constraint considerations.b. Recommend and justify a long-term asset allocation that is consistent with the investment policy statement you created in Part a. Briefly explain the key assumptions you made in generating your allocatio

6、n.答案a.由以上可知，Mr. Franklin丧偶、无子、70岁、身体健康、拥有大笔流动性较好资产、愿意将其部分现金资产捐献给医学研究基金会、在其去世后其房产也留给这家基金会、无负债、处在较高的纳税等级、缺乏资产管理技术、当前没有特定的支出负担、当前对于资产的流动性没有特殊要求。考虑到以上条件，他的投资策略应符合以下条件：目标：收益要求: 其资产池应当能够产生可以满足其日常支出的现金流入，这可以通过组合的微小调整实现。因此，资本的长期实际增长是其主要的回报目标。节税也是其资产管理目标之一。风险承受：从其资产负债状况及其长期资本增值的目标看，再加上他有过证券投资经验且身体状况良好，其组合的风险

7、水平可以略高于平均水平。限制：投资期限：Mr. Franklins身体状况良好，其预期寿命还有很长因此其预期投资期限为长期。流动性要求:从文中可知，除了日常的生活支出之外没有特殊的流动性要求税收: Mr. Franklin无疑处在高税率阶层，投资活动应考虑到这一点。合适的避税和节税产品应当加以考虑，节税是其投资中的目标之一。法律和规章:投资应符合法律和地方法规的规定b.考虑到股票的收益要高于现金和债券且符合长期资本增值的投资目标，且其对于流动性和当前收入并没有特殊的需求，因此在资产配置中股票应占有较大的比例。其资产的15%（9+1million）已为房地产，该类资产不再多加分配。考虑到其投资的

8、长期性和较高的风险承受能力，应将其资产的70%配置到权益资产上，30配置到固定收益资产上。为了得到分散化收益，组合中应包含国际证券。市政债券由于其避税好处，应包含在固定收益资产中。一下是一个可行的方案，目标各项资产所占比例如下:美国债券15%、非美国债券10%、美国股票（大盘股）30%、美国股票（小盘股）15%、非美国股票15%、房地产15%P205Q25、a. List and briefly define the three forms of the efficient market hypothesis. 6 minutesb. Discuss the role of a portfol

9、io manager in a perfectly efficient market. 9 minutes答案：a.（1）弱势有效市场：当前价格充分反映所有的证券市场信息，包括证券的历史价格、收益率、交易数据等。在该假设下，投资者不能使用历史数据预测未来，技术分析失效。（2）半强势有效市场：当前价格充分反映所有的公开信息。在该假设下，使用公开的信息所做的投资决策不能获得超额收益，基本分析失效。（3）强势有效市场：当前价格充分反映所有的公开和私人信息。在该假设下，使用内幕信息不能获得超额收益。b.（1）帮助客户确定其投资目标与投资限制（2）构建适当的投资组合，要充分考虑经济环境与各类资产的风险与

10、收益状况（3）在全球范围内实现完全的分散化，彻底分散非系统性风险（4）当外部环境变化时，进行组合的重构以符合投资目标（5）最小化研究与交易费用P232Q1、Why do most investors hold diversified portfolios?答案：风险分为系统性风险和非系统性风险，通过分散化投资可以分散各种资产所特有的个体性风险，即非系统性风险。从数学的角度讲，方差是风险的一种度量方式，借由在组合中加入与原有资产相关性较低的资产，由于其与其他资产较低的协方差可以有效降低组合的方差。P273Q13Identify and briefly discuss three criticis

11、ms of beta as used in the capital asset pricing model答案（1）实证检验的结果表明，早期的实证检验基本支持CAPM模型，即作为影响收益的唯一要素，但近来的研究表明除外，财务杠杆和市净率同样是影响收益的重要因素，例如三因素模型。（2）一些研究发现，在短期风险与收益可能会出现负相关的情况。例如 Black, Jensen and Scholes发现从1957年4月到1965年12月，高系数的股票获得的收益反而小于低系数股票的收益，这表明在这段时期中，并不能作为唯一定价依据，某些非系统性风险被市场赋予了价值。（3）的估计值要随所选择市场指数的变化而

12、变化。 Richard Roll已经证明改变市场指数，单个股票的风险水平也会相应变化，难以得到统一的风险度量和资产定价。P276P14 The following information describes the expected return and risk relationship for the stocks of two ofWAHs competitors Expected return standard deviation betaStock X 12% 20% 1.3Stock Y 9 15 0.7Market Index 10 12 1.0Risk-free rate 5U

13、sing only the data shown in the preceding table:a. Draw and label a graph showing the security market line and position stocks X and Y relative to it.b. Compute the alphas both for Stock X and for Stock Y. Show your work. 4 minutesc. Assume that the risk-free rate increases to 7 percent with the oth

14、er data in the preceding matrix remaining unchanged. Select the stock providing the higher expected risk-adjusted return and justify your selection. Show your calculations. 6 minutes答案a略b.ALPHA () = E(ri) - rf + (E(rM) - rf)Stock X: = 12% - 5% + 1.3% (10% - 5%) = 0.5%Stock Y: = 9% - 5% + 0.7%(10% -

15、5%) = 0.5%c.Stock X： = 12% - 7% + 1.3 (10% - 7%= 12% - 10.95% = 1.1%Stock Y = 9% - 7% + 0.7(10% - 7%)= 9% - 9.1% = -00.1%由于股票X可以获得正的1.1%的经风险调整后的超额收益，因此选择股票X。P306Q12Multifactor models of security returns have received increased attention. The arbitrage pricing theory(APT) probably has drawn the most

16、attention and has been proposed as a replacement for the capitalasset pricing model (CAPM).a. Briefly explain the primary differences between the APT and the CAPM.b. Identify the four systematic factors suggested by Roll and Ross that determine an assets riskiness.Explain how these factors affect an

17、 assets expected rate of return.答案a.（1）APT关于投资者偏好的假设条件更少，要求更宽松，CAPM假设更为严格（2）APT认为投资者的偏好可随时间改变，CAPM假定投资者偏好固定（3）APT中采用了多个因素来解释收益，CAPM只采用了单一因素（4）APT中的因素可随时间变化，CAPM的单因素不随时间变化b Roll和Ross提出的四个宏观因素为:通货膨胀、工业产值、信用利差、长短期利差由多因素模型的一般表达式Ri = R0 + bi1 F1 + bi2 F2 + . . . + bin Fn可知，各因素对收益的影响是通过其各自的敏感系数实现的。P307P5S

18、uppose that three stocks (A, B, and C) and two common risk factors (1 and 2) have the following relationship:E(RA)=(1.1)1 +(0.8)2 E(RB) =(0.7)1 +(0.6)2 E(RC)=(0.3)1 +(0.4)2a. If1=4% and2 =2%, what are the prices expected next year for each of the stocks? Assume that all three stocks currently sell f

19、or $30 and will not pay a dividend in the next year.b. Suppose that you know that next year the prices for Stocks A, B, and C will actually be $31.50,$35.00, and $30.50. Create and demonstrate a riskless, arbitrage investment to take advantage of these mispriced securities. What is the profit from y

20、our investment? You may assume that you can use the proceeds from any necessary short sale.答案a. E(RA) = 1.1x0.04 + 0.8x0.02= 0.044 + 0.016= 0.06 or 6% E(Price A) = $30(1.06) = $31.80E(RB) = 0.7x0.04 + 0.6x0.02= 0.28 + .012= 0.04 or 4% E(Price B) = $30(1.04) = $31.20E(RC) = 0.3x0.04 + 0.4x0.02= 0.12

21、+ 0.008= 0.02 or 2% E(Price C) = $30(1.02) = $30.60b.由a.所得理论价格可知，A、C被高估，B被低估，应该买进B，同时买空A与C，构造一个套利组合如下： 买入2股B，同时分别卖空1股A和1股C，个股所占组合的权重分别为： WA = -0.5,WB = 1 and WC = -0.5. 初始投入为：30+30-2*30=0因素1的风险暴露为(-0.5)x1.1+ (+1.0)x0.7+(-0.5)x0.3=0因素2的风险暴露为(-0.5)x0.8+ (+1.0)x0.6+ (-0.5)x0.4=0收益= ($30 - $31.50) + 2x(

22、$35 30) + ($30 - $30.50)= -$1.50 + $10 - $0.50= $8P404Q11Under what conditions will it be ideal to use one or several of the relative valuation ratios to evaluate a stock?答案(1)市场中存在一系列较好的可比对象(2)市场整体估值相对合理，不存在严重的整体高估或低估P405P14You have been reading about the Maddy Computer Company (MCC), which current

23、ly retains 90 percent of its earnings ($5 a share this year). It earns an ROE of almost 30 percent. Assuming a required rate of return of 14 percent, how much would you pay for MCC on the basis of the earnings multiplier model? Discuss your answer. What would you pay for Maddy Computer if its retent

24、ion rate was 60 percent and its ROE was 19 percent? Show your work.答案：（1）ROE = 0.3，RR =0.90，则增长率g= RR x ROE=0.90 x 0.30 = 0.27此时k-g= 0.14-0.270，因此不能使用该方法来估值（2）ROE =0 .19，RR =0 .60,则增长率g = 0.60 x0 .19 =0 .114P/E=（1-0.60）/(0.14-0.114)=15.38 预期每股收益为$5.00 x (1 + .114)= $5.57因此P = (15.38) x ($5.57) = $85

25、.69P431Q4You are informed of the following estimates: nominal money supply is expected to grow at a rate of7 percent, and GDP is estimated to grow at 4 percent. Explain what you think will happen to stock prices during this period and the reason for your expectation.答案：名义货币供给增速高于GDP增速会导致流动性过剩和通货膨胀。流

26、动性过剩会导致更多的资金进入股票市场，推高股票；而通货膨胀会提高投资者要求的回报率，从而导致市盈率的降低，股价降低。因此，综合来讲，其对股票市场的影响是不确定的。P432P3A U.S. pension plan hired two offshore firms to manage the non-U.S. equity portion of its total portfolio.Each firm was free to own stocks in any country market included in Capital Internationals Europe, Australia

27、, and Far East Index (EAFE) and free to use any form of dollar and/or nondollar cash or bonds as an equity substitute or reserve. After three years had elapsed, the records of the managers and the EAFE Index were as shown: （Currency）（country selection） （stock selection）（cash/bond allocation）（total r

28、eturn recorded）Manager A （9.0%） 19.7% 3.1% 0.6% 14.4%Manager B （7.4） 14.2 6.0 2.8 15.6Composite of A&B （8.2） 16.9 4.5 1.7 15.0EAFE Index (12.9) 19.9 7.0You are a member of the plan sponsors pension committee, which will soon meet with the plans consultant to review manager performance. In preparatio

29、n for this meeting, you go through the following analysis:a. Briefly describe the strengths and weaknesses of each manager, relative to the EAFE Index data.b. Briefly explain the meaning of the data in the Currency column.答案a.相对于指数，A长处：较高的选择货币的能力，较高的选股水平 缺点：较低的选择国家的能力B长处：较高的选择货币的能力，较高的选股水平，具备一定的流动性

30、缺点：较低的选择国家的能力b.currency一栏显示了计算美元收益时汇率变动对于总收益的影响。基金投资于国外市场时，需要将美元兑换为当地货币，计算美元收益时要将以当地货币计算出的收益换算为美元收益，汇率的有利变动会增加美元收益，汇率的不利变动将带来美元收益的减少。P482Q7Assume that each of the following changes is independent. In each case, indicate what will happen to the earnings multiplier and explain why.a. The return on equ

31、ity increases.b. The aggregate debtequity ratio declines.c. Overall productivity of capital increases.d. The dividend-payout ratio declines.答案P/E1=D1/E1(k-g) k=f(RFR,I) g=b*ROEROE =净利润/权益=净利润/销售收入*销售收入/权益=净利润/销售收入*销售收入/总资产*总资产/权益=边际利润*总资产周转率*财务杠杆a.其他因素不变的情况下，ROE提高，则g变大，市盈率变大b.负债权益比下降，则财务杠杆变小，ROE变小，g变小，市盈率